LEAD-LAG RELATIONSHIP BETWEEN COMMODITY SPOT AND FUTURES MARKETS IN PAKISTAN

  • Marium Saleem Lecturer Cum In-charge of Department of Business Administration, Iqra National University

Abstract

This study was conducted to determine the lead-lag relationship between commodities spot and futures prices in Pakistan. Five commodities i.e. gold, silver, wheat, rice and sugar were selected keeping in mind the availability of the data. It was found that in few cases the spot prices lead futures prices while in other instances futures prices are lead by spot prices. The direction of relationship between commodity spot and futures prices was observed to change by changing futures contracts maturity period.


Key words: lead-lag relationship, futures market, stationarity

Published
2018-10-30